Brunnermeier et al., (2017) propose a securitization solution for the bank-sovereign doom-loop. This shields senior tranche investors from actual defaults but whether it stabilizes flight-to-safety panics is unclear. We apply dynamic VaR and Marginal Expected Shortfall methods to assess whether...

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al. (2016) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses that may...

It is generally accepted that excessive exuberance or gloom in investor sentiment contributes to booms and crashes in asset prices but, because of its complex interaction with other aspects of the valuation process, these effects are not easy to identify with statistical confidence and this...